Rollovers and Open interest in Nifty lowest for the calendar year 2017

“It was indeed a historical series for our market as the benchmark index registered a new life time high during initial part of August series. However, selling got attracted thereafter which lead market correcting towards 9700 mark; followed by range-bound move for the later part of the series. August series had began with lowest open interest in calendar year 2017, gradually we saw good amount of open interest addition out of which majority of the positions formed were on short side.

Foreign Institutional Investors curbed liquidity by selling equities worth Rs. 17415 crores. At the same time in F&O segment, their ‘Index Futures Long Short Ratio’ plunged from 84% to 53% during the series, as FIIs formed significant shorts in index futures during August series. In addition they also when long in index puts along with writing in index calls.

On options front, 10000 calls of September series has highest OI, suggesting strong hurdle placed near 9950-10000 levels. While, looking at the open interest concentration in puts, 9700 seems to act as a base for September series as well. Nifty rollover is at 57.96% which is lowest in last one year, suggesting traders refrained from carrying forward their positions to next series. Hence, traders are suggested to remain light unless we see relevant positions forming in either direction.”